I have written this indicator: VWAP@Time Z-score .
Which I have published on PRC but it’s still not available at that precise moment (so meanwhile I post below the code):
// VWAP@Time intraday Z-Score
// 17.11.2020
// Daniele Maddaluno
//
// startTime = 80000
// endTime = 153000
// smoothZscore = f
// stdev = 2
once posLev1=+stdev/2
once negLev1=-stdev/2
once posLev2=+stdev
once negLev2=-stdev
if opentime < startTime or opentime > endTime then
n = 0
zscoreT = 0
priced = 0
shared = 0
summ = 0
vwap = close
vwapstd = 0
else
n = n + 1
// This if has been added just for plot reasons
if n <= 1 then
zscoreT = 0
else
zscoreT = 190
endif
priced = priced + (totalprice*volume)
shared = shared + volume
if shared>0 then
vwap = priced/shared
summ = summ + square(totalprice - vwap)
vwapstd = sqrt(summ / n)
endif
endif
if smoothZscore then
zscore = average[3]((close-vwap)/vwapstd)
else
zscore = (close-vwap)/vwapstd
endif
if zscore>=posLev2 then
drawcandle(posLev2, posLev2*1.25, posLev2, posLev2*1.25) coloured(255, 0, 0, 100) bordercolor(0, 0, 0, 0)
endif
if zscore<=negLev2 then
drawcandle(negLev2, negLev2*1.25, negLev2, negLev2*1.25) coloured(0, 255, 0, 100) bordercolor(0, 0, 0, 0)
endif
// Manage the coloring of vwap mid line
if zscore > zscore[1] then
dwapR = 0
dwapG = 128
dwapB = 192
else
dwapR = 255
dwapG = 0
dwapB = 0
endif
return zscore coloured(dwapR, dwapG, dwapB, zscoreT) style(line, 2) as "Z-score", posLev1 coloured(168, 168, 168) style(line, 2) as "Level +stdev/2", posLev2 coloured(210, 210, 210) style(line, 2) as "Level +stdev", negLev1 coloured(168, 168, 168) style(line, 2) as "Level -stdev/2", negLev2 coloured(210, 210, 210) style(line, 2) as "Level -stdev", 0 coloured(168, 168, 168) style(dottedline) as "Level 0"
I have noticed that sometimes it has a strange behaviour that I didn’t had on PRT v10.
Using this indicator, when horizontally scrolling at the barindex+1 bar (I mean the bar next the current one) the indicator completely disappears…
Values in the “current” bar seems to be computed correctly…
The main problem is that sometimes works, sometimes doesn’t, so I could not address any clear reason of the fault…
I don’t think it’s linked to the indicator because I’m pretty sure that I have never had that problem on v10 (but I can be wrong)…
I have attached a video to show what I meant.
PRT v11.1 – 18.0_202 + IG (last update on 25 nov 2020)